Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-10-18 to 2026-10-16.
Two paired wheel simulations on DIA, one managed at 21 DTE. On this simulation the 21-Day Rule finished -3.2 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 10.1% | 7.0% | -3.2 pp |
| Annualized return | 4.9% | 3.4% | -1.5 pp |
| Buy-and-hold return | 20.0% | 20.0% | 0.0 pp |
| Max drawdown (from peak equity) | 14.7% | 14.7% | -0.0 pp |
| Assignment rate | 21.4% | 13.5% | -7.9 pp |
| Call-away rate | 75.0% | 50.0% | -25.0 pp |
| Average cycle return | 0.7% | 0.2% | — |
| Sample cycles | 14 | 37 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 47 | — |
| Entry fills priced from real option bars | 50% | 49% | — |
| 21-DTE buy-backs priced from real option bars | — | 47% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 18 and behind on 19. The DIA total-return delta of -3.2 pp ranks 21st of 37 (1st is where managing early helped most); the median delta is -1.4 pp.
Without the rule, the standard arm returned 10.1% against 20.0% for buy-and-hold, so the plain wheel trailed holding the shares by 9.9 percentage points in this simulation.
Among its index and broad sector ETF peers IWM, QQQ and SPY, the rule finished ahead of holding to expiry on 1 of 3; DIA itself came in at -3.2 pp.
The separate 10 DTE / 2% OTM wheel snapshot for DIA shows a put assignment rate of 12.8% and wheel P&L of $1,846 against $8,646 for buy-and-hold. That is a different recipe from the 35 DTE study on this page, so the two results are not additive.
| Metric | DIA | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -3.2 pp | -1.4 pp | 21st of 37 |
| Rule drawdown delta | -0.0 pp | -1.3 pp | 25th of 37 (lowest first) |
| 21-Day total return | 7.0% | 14.4% | 28th of 37 |
| 21-Day annualized return | 3.4% | 7.0% | 28th of 37 |
| Standard total return | 10.1% | 14.7% | 27th of 37 |
| 21-Day max drawdown | 14.7% | 20.8% | 9th of 37 (lowest first) |
| 21-Day call-away rate | 50.0% | 39.1% | 6th of 37 |
| Standard annualized return | 4.9% | 7.1% | 27th of 37 |
| Buy-and-hold return | 20.0% | 38.6% | 27th of 37 |
| Standard max drawdown | 14.7% | 24.3% | 8th of 37 (lowest first) |
| Standard assignment rate | 21.4% | 30.8% | 30th of 37 |
| 21-Day assignment rate | 13.5% | 32.0% | 35th of 37 |
| 21-Day sample cycles | 37 | 27 | 2nd of 37 |
| 21-Day average cycle return | 0.2% | 0.5% | 29th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| DIA | 10.1% | 7.0% | -3.2 pp | 20.0% | 14.7% | 14.7% | 21.4% | 13.5% |
| IWM | 6.5% | 3.3% | -3.2 pp | 19.8% | 19.6% | 22.5% | 30.8% | 16.2% |
| QQQ | 18.1% | 15.3% | -2.8 pp | 43.5% | 16.3% | 16.8% | 12.5% | 13.3% |
| SPY | 8.7% | 10.2% | +1.5 pp | 30.6% | 14.6% | 15.4% | 12.5% | 10.0% |
DIA wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 DIA shares over the same window as this study, taken from the stored series of the 10 DTE wheel snapshot. The best month for holders was 2026-04 ($3,346) and the worst was 2026-03 (−$2,647).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$1,497 | — | $0 | $1,497 | $1,497 |
| 2024-11 | $1,745 | $3,242 | $1,745 | $0 | $1,497 |
| 2024-12 | −$714 | −$2,459 | $1,830 | $2,544 | $2,672 |
| 2025-01 | $1,275 | $1,989 | $1,830 | $555 | $3,161 |
| 2025-02 | $573 | −$702 | $1,830 | $1,257 | $3,161 |
| 2025-03 | −$1,276 | −$1,849 | $1,830 | $3,106 | $4,216 |
| 2025-04 | −$2,630 | −$1,354 | $1,830 | $4,460 | $7,446 |
| 2025-05 | −$979 | $1,651 | $1,830 | $2,809 | $7,446 |
| 2025-06 | $801 | $1,780 | $1,830 | $1,029 | $7,446 |
| 2025-07 | $869 | $68 | $1,830 | $961 | $7,446 |
| 2025-08 | $2,345 | $1,476 | $2,415 | $70 | $7,446 |
| 2025-09 | $3,110 | $765 | $3,110 | $0 | $7,446 |
| 2025-10 | $4,303 | $1,193 | $4,451 | $148 | $7,446 |
| 2025-11 | $4,454 | $151 | $5,012 | $558 | $7,446 |
| 2025-12 | $4,793 | $339 | $5,523 | $730 | $7,446 |
| 2026-01 | $5,639 | $846 | $6,326 | $687 | $7,446 |
| 2026-02 | $5,702 | $63 | $6,926 | $1,224 | $7,446 |
| 2026-03 | $3,055 | −$2,647 | $6,926 | $3,871 | $7,446 |
| 2026-04 | $6,401 | $3,346 | $6,926 | $525 | $7,446 |
| 2026-05 | $7,814 | $1,413 | $7,814 | $0 | $7,446 |
| 2026-06 | $8,975 | $1,161 | $8,975 | $0 | $7,446 |
| 2026-07 | $9,168 | $193 | $9,745 | $577 | $7,446 |
| 2026-08 | $9,893 | $725 | $11,017 | $1,124 | $7,446 |
| 2026-09 | $7,591 | −$2,302 | $11,017 | $3,426 | $7,446 |
| 2026-10 | $8,646 | $1,055 | $11,017 | $2,371 | $7,446 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-10-18 to 2026-10-16, refreshed 2026-10-18.
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